Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance: 77 (Lecture Notes in Computational Science and Engineering, 77) - Hardcover

Holtz, Markus

 
9783642160035: Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance: 77 (Lecture Notes in Computational Science and Engineering, 77)
Hardcover
ISBN 10: 3642160034 ISBN 13: 9783642160035
Publisher: Springer, 2010

Synopsis

This book deals with the numerical analysis and efficient numerical treatment of high-dimensional integrals using sparse grids and other dimension-wise integration techniques with applications to finance and insurance. The book focuses on providing insights into the interplay between coordinate transformations, effective dimensions and the convergence behaviour of sparse grid methods. The techniques, derivations and algorithms are illustrated by many examples, figures and code segments. Numerical experiments with applications from finance and insurance show that the approaches presented in this book can be faster and more accurate than (quasi-) Monte Carlo methods, even for integrands with hundreds of dimensions.

"synopsis" may belong to another edition of this title.

About the Author

• Scientific employee at the Institute for Numerical Simulation at the University of Bonn (July 2004 - January 2009) • Involved in several teaching activities and research projects in the area of computational finance partly in close cooperation with financial institutions • Since January 2009 at head office of Baloise Group working on the introduction of stochastic models for life insurance portfolios

From the Back Cover

This book deals with the numerical analysis and efficient numerical treatment of high-dimensional integrals using sparse grids and other dimension-wise integration techniques with applications to finance and insurance. The book focuses on providing insights into the interplay between coordinate transformations, effective dimensions and the convergence behaviour of sparse grid methods. The techniques, derivations and algorithms are illustrated by many examples, figures and code segments. Numerical experiments with applications from finance and insurance show that the approaches presented in this book can be faster and more accurate than (quasi-) Monte Carlo methods, even for integrands with hundreds of dimensions.

"About this title" may belong to another edition of this title.

Publisher
Springer
Publication date
2010
Language
English
ISBN 10 
3642160034
ISBN 13 
9783642160035
Binding
Hardcover
Number of pages
200

Other Popular Editions of the Same Title

9783642265631: Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance: 77 (Lecture Notes in Computational Science and Engineering, 77)

Featured Edition

ISBN 10:  3642265634 ISBN 13:  9783642265631
Publisher: Springer, 2012
Softcover